An emulation fund is designed to reduce trading activity, thereby lowering costs, for a multi-manager fund. It does this by delaying, and potentially combining, trading decisions from each employed fund manager to eliminate offsetting trades (e.g. one manager may buy a stock for her fund while...

An emulation fund is designed to reduce trading activity, thereby lowering costs, for a multi-manager fund. It does this by delaying, and potentially combining, trading decisions from each employed fund manager to eliminate offsetting trades (e.g. one manager may buy a stock for her fund while...

We examine the effects of algorithmic trading (AT) on the US mutual fund industry and find that funds holding stocks with higher AT intensity have lower holdings returns and higher interim trading profits (return gap). This effect survives controls of effective spread and execution shortfall....

We examine the effect of algorithmic trading (AT) on the US mutual fund performance and find that funds holding stocks with higher AT intensity have lower holdings return and higher interim trading profits as measured by return gap. This positive effect of AT on return gap survives controls of...

The returns to housing are particularly important because this asset class makes up such a large fraction of household wealth. Yet they are not straightforward to calculate given both the heterogeneity in homes and the fact they sell only infrequently. We outline a methodology for constructing...

The returns to housing are particularly important because this asset class makes up such a large fraction of household wealth. Yet they are not straightforward to calculate given both the heterogeneity in homes and the fact they sell only infrequently. We outline a methodology for constructing...

In a seminal study, Elton and Gruber (1970) argue that ex-dividend day pricing can be used to infer the marginal tax rates of shareholders. If this view is correct, managers of individual firms would be provided with information of relevance to major financing and distribution decisions. We...

Taxes create distortions in financial markets. A tax credit attached to dividend payments in Australia creates a wedge in valuations as it can be utilized only by certain investors. Individual investors, who benefit most from the credit, buy aggressively cum-dividend and sell aggressively...